BPCE - 2019 Universal Registration Document

FINANCIAL REPORT

IFRS CONSOLIDATED FINANCIAL STATEMENTS OF BPCE SA GROUP AS AT DECEMBER 31, 2019

Exposure to risks Note 7 The risk exposures reported below include credit risk, market risk, overall interest rate risk, foreign exchange risk and liquidity risk.

The information on risk management required by IFRS 7 and presented in the risk management report (Chapter 3 of the registration document) only pertains to Groupe BPCE.

7.1

CREDIT RISK AND COUNTERPARTY RISK

Key points Credit risk is the risk that one party to a financial transaction fails to fulfill his obligations, causing the other party to incur a financial loss.

STAGE 1

STAGE 2

STAGE 3

Expected Credit Loss (ECL) at 1 yr.

ECL at maturity

ECL at maturity

IFRS 9

In the event of a significant increase in the credit risk

Deterioration of the credit risk to the point where the asset is non-performing

Material change in the credit risk

Objective impairment criterion

the breakdown of gross exposure by geographic region; • concentration of credit risk by borrower; and • the breakdown of exposure by credit rating. • This information forms an integral part of the financial statements certified by the Statutory Auditors.

Certain disclosures relating to risk management required by IFRS 7 are also provided in the risk management report. They include: the breakdown of gross exposures by category and approach • (separation of credit and counterparty risk);

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UNIVERSAL REGISTRATION DOCUMENT 2019 | GROUPE BPCE